Non parametric Fractional Cointegration Analysis

Mauro Costantini and Roy Cerqueti

No 78, ISAE Working Papers from ISTAT - Italian National Institute of Statistics - (Rome, ITALY)

Abstract: This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem. To this end, a couple of random matrices are constructed taking into account the stationarity properties of the differencesof a fractional p-variate integrated process. These difference orders are assumed to vary in a continuous and discrete range. The random matrices are defined by some weight functions. Asymptotic behaviors of these random matrices are obtained by stating some conditions on the weight functions, and by using Bierens (1997) and Andersen et al.(1983) results. In this way, a nonparametric analysis is provided. Moving from the solution of the generalized eigenvalue problem, a fractional nonparametric VAR model for cointegration is also presented.

Keywords: Fractional integrated process; Nonparametric methods; Cointegration; Asymptotic distribution; Generalized eigenvalues problem. (search for similar items in EconPapers)
JEL-codes: C14 C22 C65 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2007-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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